In this paper we design the neural network consumer credit scoring models for financial institutions where data usually used in previous research are not available. We use extensive primarily accounting data set on transactions and account balances of clients available in each financial...

Deposit insurers are particularly concerned about high-cost failures. When the factors driving such failures differ systematically from the determinants of low- and moderate-cost failures, a new estimation technique is required. Using a sample of more than 1,000 bank failures in the U.S. between...

This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks' equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks' exposure to each other (quot;contagion riskquot;) and...

This paper tests the hypothesis that stress tests are primarily a function of the fundamental financial condition and operating environment of individual banks, rather than alternative adverse economic and financial scenarios imposed by regulators. We develop a novel early warning system based...

This paper develops a novel measure of systemic risk that combines mapping technology and regression methods. Self-organizing maps (SOM) and lasso logistic regressions are employed to estimate default probabilities for individual U.S. commercial banks from 2001 to 2017. Subsequently, these...

This paper studies the joint dynamics of momentum and reversal strategies in the U.S. stock market. Momentum investors face uncertainty about whether past patterns of price movements will continue (momentum) or reverse, thereby increasing volatilities of momentum returns and occasionally leading...

The theory of strategic groups predicts the existence of stable groups of companies that adopt similar business strategies. The theory also predicts that groups will differ in performance and in their reaction to external shocks. We use cluster analysis to identify strategic groups in the Polish...

Using a hierarchical cluster analysis and considering a large range of harmonised banking indicators, this paper assesses the impact of the recent crisis on the fragmentation of the euro area banking system. Results show that the crisis has led to a growing heterogeneity of banking structures...

Modalities of consumer's protection at consumer's lending in European Union Member States are provided with a special directive of the European Parliament and the Council (Directive 2008/48/EZ of the consumer credit agreements). Although this area has been regulated in European Union by the...

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...